G2_fun

Choice of the G2 function:<ul>
<li>1: -1/z, z &lt; 0</li>
<li>2: 0.5/sqrt(-z), z &lt; 0</li>
<li>3: 1/z^2, z &lt; 0</li>
<li>4: 1 / (1 + exp(-z))</li>
<li>5: exp(z)</li>
</ul>

type

internal

Simultaneous modeling of the quantile and the expected shortfall of a response variable given
a set of covariates, see Dimitriadis and Bayer (2017) <arXiv:1704.02213>.

Sebastian Bayer

esreg

Joint Quantile and Expected Shortfall Regression

Timo Dimitriadis

G2_fun function

Specification Function — G2_fun

Specification Function

G2_fun: Specification Function

Description

Usage

Arguments